MACRO AND EUROPEAN L/S EQUITY FUNDS TAKE THE LEAD
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1 EXPERT OPINION 11 A p r i l MACRO AND EUROPEAN L/S EQUITY FUNDS TAKE THE LEAD - The Lyxor Hedge Fund Index was up +0.9% in March, with 7 out of 10 Lyxor indices in positive territory. - L/S Equity and Global Macro managers outperformed, supported by exposures to European markets. Fixed income managers thrived from relative value across government bond yield curves. Conversely, long term CTAs were hit by lower 10Y UST. >> After markets swiftly and fully priced-in a Fed hike in March, Mrs Yellen reaffirmed her intent to implement a gradual pace of the policy normalization. That led the US dollar to depreciate against G10 and EM currencies. Meanwhile, the ACA repeal s failure raised doubts about Trump s ability to soon deliver the key reform that matters for market. With the reflation trades getting increasingly speculative, the S&P500 index retraced -0.2%. On the other side of the Atlantic, the upturn in the euro-zone economy gathered further pace which bolstered Eurostoxx 50 (+4.4%). Although the growth-inflation dilemma remained unresolved, strong economic data fuelled concerns that the ECB might start tapering earlier than expected. As a result, 10-year Bund yields soared +18bps. Finally, concerns over oil glut revived after US production surged, which led the WTI to take a nosedive near $48. >> The Lyxor Hedge Fund Index was up 0.5%, supported by L/S Equity and Global Macro funds. Long-Term CTAs delivered disappointing results due to trend reversals in the fixed income and FX spaces. >> L/S Equity funds were among the best performers in March, in particular those with a longer bias. Managers focused in the euro-zone outperformed. Ahead of the French presidential elections, they remained cautiously exposed without any signs of panic. They kept most of their directional exposures, while building up some protection. They increased their hedges through index shorts and lowered positions on the financial sector. Returns were more disparate across US managers, with the best performers thriving from stock picking. >> The Global Macro strategy fared well, but dispersion was significant across managers returns. On the positive side, they benefited from rising European bond yields, which helped alleviate losses coming from a stronger EUR. Constructive views on European indices paid off. Managers limited damages stemming from a weaker USD thanks to increased longs EM FX crosses. On the other side of the ledger, the commodity bucket was costly, mainly due to long exposure to energy. European funds maintain hedges ahead of French elections L/S Equity European funds, net exposure to sectors (%NAV) >> Special Situations led the pack within Event Driven, supported by core investments in the basic materials, energy and technology sectors. Conversely, Merger Arbitrage lagged, albeit the bulk of losses came mainly from non-m&a energy positions. Looking forward, the strategy should benefit from conducive conditions. First, earnings are improving and corporate activity is intensifying. Moreover, hopes from tax cuts, fiscal spending and deregulation remain on (even though they seem increasingly speculative). Roughly put, managers remain cautiously exposed and maintain balanced exposures between cyclical and defensive sectors. Thus this would help mitigate the impact of any possible correction of the market. Consequences from the inflection in rates and inflation are already showing. Asset prices increasingly trading in line with their fundamentals and multiple themes, which would favor hedge funds in Q2. However, the lack of asset dispersion and policy uncertainties remain key constraints. They will not lift before the summer. We expect loose asset trends until then. We shift to relative-value styles and prefer fundamental picker over macro arbitrageurs. We favor US & European L/S Equity as well as Special Situations. We would shave off allocations to CTAs and Macro funds. Jean-Baptiste Berthon Senior Cross-asset Strategist, Lyxor Asset Management >> Long-Term CTAs took a hit from trend reversals, especially when US 10-year bond yields edged lower. The rise in European bond yields and the strengthening of EUR vs. USD were also painful. The equity bucket was mixed, with longs on European equities as the main contributors. Overall, CTAs adjusted their positions at the end of the period. They dwindled EUR shorts, lowered EM currencies longs and turned short on energy and fixed income. Short-Term models fared better over the period. They slashed their longstanding exposures to equities. >> Relative value trades across government bond yield curves bolstered returns of Fixed Income Arbitrage managers. In the meantime, some diversified managers thrived from more directional trades, in particular European bonds shorts, while outstanding long positions on EM FX positions added to gains. L/S Credit Arbitrage returns were somewhat flat amid lackluster credit markets. Source: Lyxor AM. As of March 21, 2017
2 Lyxor Hedge Fund Indices Leveraging on the breadth and diversification of the Lyxor Managed Account Platform, the Index performance aims to be the most representative of the hedge fund industry. The Lyxor Hedge Indices are composed of funds selected by Lyxor Asset Management, available on its leading Managed Account Platform that covers all the major hedge fund strategies and benefits from a high level of transparency and risk control, while ensuring weekly liquidity. These Indices are investable, asset-weighted indices, designed to offer investors straightforward access to hedge fund performance. The Lyxor Hedge Fund Index range comprises 15 indices from global to mono-strategy or thematic indices. The Lyxor Hedge Fund Index (Global Index) reflects the average performance of all 13 strategy indices, thereby offering direct exposure to the global hedge fund universe. Lyxor Hedge Fund Indices Bloomberg Ticker March 2017 Performance* YTD Performance* Global Index Lyxor Hedge Fund Index LYXRHFI 0.9% 1.9% Strategy Indices Lyxor L/S Equity Long Bias Index LYXRLSLB +1.7% +1.5% Lyxor L/S Equity Market Neutral Index LYXRLSMN +1.6% +3.1% Lyxor L/S Equity Variable Bias Index LYXRLSVR +0.4% +1.4% Lyxor Merger Arbitrage Index LYXRMNA -0.2% +0.5% Lyxor Special Situations Index LYXRSPEC +0.5% +3.1% Lyxor L/S Credit Arbitrage Index LYXRCRDT -0.6% +0.3% Lyxor Fixed Income Arbitrage Index LYXRFIAR +2.8% +1.5% Lyxor CTA Long Term Index LYXRCTAL -1.0% +2.3% Lyxor CTA Short Term Index LYXRCTAS +0.5% +2.0% Lyxor Global Macro Index LYXRMACR +1.3% +2.1% Thematic Index Lyxor Credit Strategies Index LYXRCDTS +1.6% +1.1% (*) MTD returns are based on performance from the last estimated NAV of the previous month until the last estimated NAV of the reported month. YTD returns are from December 30 th, 2016 through March 31 st, 2017.
3 EXPERT OPINION 11 A P R I L Below is a brief description of key hedge funds strategies: Special Situations is a strategy that encompasses a combination of investment processes targeting equities or bonds whose valuation is altered by a special situation such as spin-offs, industry consolidations, liquidations, reorganizations, share buybacks and other extraordinary corporate transactions that generate investment opportunities. Merger Arbitrage is a strategy that primarily consists of investing in equities involved in merger/acquisition operations and aims to take advantage of the spread between the price bid for the takeover and the price observed in the market. Distressed Securities is a strategy that consists of investing in (or selling short) securities of companies for which the price has been, or is expected to be, affected by a distressed situation (e.g., pre- or post- bankruptcy). Convertible Bonds and Volatility Arbitrage are strategies that aim to take advantage of volatility arbitrage opportunities by investing in various financial instruments. Convertible Bonds funds primarily invest in convertible bonds and discretionarily hedge some of the underlying risk factors (interest rate risk, credit risk, market risk) in order to gain exposure to volatility and/or credit risk at a very attractive price. Fixed Income Arbitrage is a strategy that aims to take advantage of pricing anomalies between fixed income securities, sectors, markets and yield curves. L/S Credit Arbitrage strategy is a directional strategy that involves buying bonds and credit and fixed income derivative instruments that are expected to appreciate and selling the ones that are expected to depreciate. Global Macro is a strategy that aims to take advantage of expected macroeconomic trends and may invest in all types of markets and instruments. CTAs Long Term is a strategy that aims to capture price movements in fixed income, equity, currency and commodity markets with the use of systematic trading models. CTAs Short Term is a strategy that aims to capture short term price movements in fixed income, equity, currency and commodity market with the use of systematic trading models. L/S Equity Variable Bias is a directional strategy that primarily involves buying equities and equity derivatives that are expected to appreciate and selling those that are expected to depreciate. The portfolio s net exposure to the market (possibly net long, net short or market neutral) will be actively managed depending on the manager's expectations. L/S Equity Long Bias is a directional strategy that primarily involves buying equities and equity derivatives that are expected to appreciate and selling those that are expected to depreciate, while structurally maintaining a net long exposure to the equity market. L/S Equity Market Neutral is a strategy that primarily involves buying equities and equity derivatives that are expected to appreciate and selling those that are expected to depreciate while generally neutralizing broad equity market risks. L/S Equity Statistical Arbitrage is a strategy that primarily consists of investing in some equities and selling short other equities. The security selection approach is typically based on quantitative analysis of either fundamentals, prices, or a combination of the two. This strategy typically seeks to offer limited exposure to equity market risks Lyxor Credit Strategies Index aims to measure the performance of hedge funds following any type of credit and fixed income related strategies: take advantage of pricing anomalies between fixed income securities, sector, market and yield curves, buying bonds or credit or fixed income derivative instruments that are expected to appreciate and selling the ones that are expected to depreciate. Each index is reviewed and rebalanced on a monthly basis in line with investment guidelines, the evolution of assets under management and the liquidity constraints. Owned by Société Générale Index, the indices are calculated and published on a daily basis by Standard and Poors on Bloomberg and Reuters. SGI is a registered trademark of the Société Générale Group (hereinafter referred to as the "Holder"). The Holder grants no guarantee and undertakes no commitment, whether explicitly or implicitly, relative to the results to be obtained through the use of the Indices and/or relative to the level at which the Indices may be at any given moment or day, or of any other type. The Holder will not be liable for any error affecting the Indices with regard to any party, and will have no obligation to inform anyone of any possible error affecting the Indices. The Indices are the exclusive property of Société Générale. Société Générale has contracted with Standard & Poor s to maintain and calculate the Indices. Standard & Poor s shall have no liability for any errors or omissions in calculating the Indices. A dedicated website provides monthly factsheets, valuations, performance and methodology and performance analysis.
4 EXPERT OPINION 11 A P R I L Societe Generale Societe Generale is one of the largest European financial services groups. Based on a diversified universal banking model, the Group combines financial solidity with a strategy of sustainable growth, and aims to be the reference for relationship banking, recognised on its markets, close to clients, chosen for the quality and commitment of its teams. Societe Generale has been playing a vital role in the economy for 150 years. With more than 148,000 employees, based in 76 countries, we accompany 32 million clients throughout the world on a daily basis. Societe Generale s teams offer advice and services to individual, corporate and institutional customers in three core businesses: Retail banking in France with the Societe Generale branch network, Credit du Nord and Boursorama, offering a comprehensive range of multichannel financial services on the leading edge of digital innovation; International retail banking, financial services and insurance with a presence in emerging economies and leading specialised businesses; Corporate and investment banking, private banking, asset management and securities services, with recognised expertise, top international rankings and integrated solutions. Societe Generale is included in the main socially responsible investment indices: Dow Jones Sustainability Index (Europe), FSTE4Good (Global and Europe), Euronext Vigeo (Global, Europe, Eurozone and France), ESI Excellence (Europe) from Ethibel and 5 of the STOXX ESG Leaders indices. For more information, you can follow us on or visit our website Société Générale Index (SGI) is a leading index provider. As part of the Société Générale group, SGI is integrated in the Global Markets division and fully benefits from the expertise of a leading derivatives house. The SGI range of indices covers a wide scope of assets, including equities, interest rates, credit, commodities, and foreign exchange, which are either structured as cross-asset allocations or single-asset strategies. All SGI indices are structured with the aim of providing an adequate tradeoff between liquidity and performance. The SGI range of indices targets the growing market demand for absolute and uncorrelated return engines, quantitative strategies, and niches of growth such as alternative energy, water or sustainable investments. Lyxor Asset Management Group ("the Lyxor group"), wholly-owned directly or indirectly by Societe Generale and composed notably of two subsidiaries (1) (2), is a European asset management specialist, an expert in all investment styles, active, passive or alternative. From ETFs to multi-management, with EUR billion* under management and advisory, Lyxor group creates innovative investment solutions to meet the long-term challenges of managing savings. Thanks to its experts and its engineering tradition and research, Lyxor group combines search for performance and risk management. (1) Lyxor Asset Management S.A.S. is approved by the «Autorité des marchés financiers» (French regulator) under the agreement # GP (2) Lyxor International Asset Management S.A.S. is approved by the «Autorité des marchés financiers» (French regulator) under the agreement # GP * Including EUR 12.3 bn assets under advisory. Equivalent of USD bn in assets under management and advisory (including USD 13 bn assets under advisory) at the end of February 2017
5 EXPERT OPINION 11 A P R I L THIS COMMUNICATION IS FOR PROFESSIONAL CLIENTS ONLY AND IS NOT DIRECTED AT RETAIL CLIENTS Important Information This material has been provided to you on a strictly confidential basis, has been prepared solely for informational purposes and does not constitute an offer, or a solicitation of an offer, to buy or sell any security or financial instrument, or to participate in any investment strategy. This material does not purport to summarize or contain all of the provisions that would be set forth in any offering memorandum. Any purchase or sale of any securities may be made only pursuant to a final offering memorandum. There is no assurance that a transaction will be entered into on any indicative terms. The information contained in this material should not be construed as a recommendation or solicitation to buy or sell any security or financial instrument, or to participate in any investment strategy. It does not have regard to specific investment objectives, financial situations, or the particular needs of any specific entity or person. Investors should make their own appraisal of the risks and should seek their own financial, legal and tax advice regarding the appropriateness of investing in any securities or financial instrument or participating in any investment strategy. Potential investors should be aware that any direct or indirect investment in any investment vehicle described herein is subject to significant risks, including total loss of capital, such investments may be highly volatile, and there are significant restrictions on transferability and redemption of an interest in such investment vehicle. Liquidity of an investment described herein is not guaranteed and there are circumstances under which such liquidity may be restricted or may not be possible. Investors should be able to bear the financial risks and limited liquidity of this investment. Alternative investments are suitable only for sophisticated investors who are able to sustain a loss of their entire investment. No assurance can be given that the investment objectives of the investment vehicles presented herein will be achieved or that an investor will not lose all or substantially all of his or her investment. Hedge fund investment managers may use investment strategies and financial instruments that, while affording the opportunity to generate positive returns, also provide the opportunity for increased volatility and significant risk of loss. The investments described herein are also subject to the risk of counterparty or issuer default. This brief statement does not disclose all the risks and other significant aspects in connection with transactions of the type described in the materials. Potential investors should refer to the relevant offering document which includes important information, including related risk factors. The Assets Under Management presented herein reflect total assets in all investment vehicles and accounts ( Lyxor Funds ) for which Lyxor provides continuous and regular supervisory or management services for a fee (i.e. administrative, management and/or performance fees as well as other fee sharing arrangements, as applicable), including amounts from certain Lyxor Funds that invest into other Lyxor Funds. Historical data relating to the assets described herein is provided for information only. All performance information set forth herein is based on historical data and, in some cases, hypothetical data, and may reflect certain assumptions with respect to fees, expenses, taxes, capital charges, allocations and other factors that affect the computation of the returns. An individual investor may have experienced different results for the period in question had it been an investor during such period. These figures may also be unaudited and subject to material change. Past performance is not indicative of future results, and it is impossible to predict whether the value of any fund or index will rise or fall over time. Under normal market conditions, Lyxor intends to offer weekly or monthly liquidity for its managed accounts. However, weekly or monthly liquidity is not guaranteed and there are circumstances under which such liquidity may not be possible, including, but not limited to: 1. Periods during which there are a large number of redemption requests, or where there are one or more large redemption requests; 2. Where Lyxor s risk management guidelines would prohibit additional liquidity (for example, in the case of managed accounts that are heavily leveraged); 3. Where the underlying investments of a managed account impose additional restrictions on liquidity (for example, the use of gates ). While the information (including any historical or hypothetical returns) in this material has been obtained from sources deemed reliable, neither Société Générale ( SG ), Lyxor Asset Management, S.A. ( Lyxor AM ), nor their affiliates guarantees its accuracy, timeliness or completeness. To the extent that this document provides information relating to a Trading Advisor and/or a Benchmark Fund (if and as named herein), all information about such Benchmark Fund and Trading Advisor contained in this report (including historical or hypothetical returns) was provided by the Trading Advisor. Such Trading Advisor is not affiliated with SG or Lyxor AM, and none of SG, Lyxor AM or any of their affiliates guarantees the accuracy, timeliness or completeness of such information. None of SG, Lyxor AM or any of their affiliates has checked the accuracy of any data herein provided by such Trading Advisor or the sources thereof nor the methods or underlying data used to prepare this information. Neither SG, Lyxor AM nor any of their affiliates is under any obligation to update, modify or amend this communication or otherwise notify you that any matter contained herein has changed or subsequently become inaccurate. Any opinions expressed herein are statements of our judgment on this date and are subject to change without notice. SG, Lyxor AM and their affiliates assume no fiduciary responsibility or liability for any consequences, financial or otherwise, arising from an investment in any security or financial instrument described herein or in any other security, or from the implementation of any investment strategy. This material should not be construed as legal, business or tax advice. SG, Lyxor AM and each of their affiliates expressly disclaims all responsibility for any use of or reliance upon this document. Lyxor AM and its affiliates may from time to time deal in, profit from the trading of, hold, have positions in, or act as market-makers, advisers, brokers or otherwise in relation to the securities and financial instruments described herein. Service marks appearing herein are the exclusive property of SG and its affiliates, as the case may be. This document is exclusively for your use and may not be reproduced, distributed or published by any person for any person without the prior written consent of SG or Lyxor AM. COPYRIGHT, LYXOR AM, 2016
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